Related papers: Tempered fractional Brownian motion: wavelet estim…
We report in this paper a thorough study on the the dynamical mechanics of the fractional Brownian motion systems. Where several non-trivial properties are revealed such as the abundant non-Markovian effects resulted from the fractional…
A recently developed wavelet based approach is employed to characterize the scaling behavior of spectral fluctuations of random matrix ensembles, as well as complex atomic systems. Our study clearly reveals anti-persistent behavior and…
Fractional Brownian motion is a generalised Gaussian diffusive process that is found to describe numerous stochastic phenomena in physics and biology. Here we introduce a multi-dimensional fractional Brownian motion (FBM) defined as a…
Complex systems often involve random fluctuations for which self-similar properties in space and time play an important role. Fractional Brownian motions, characterized by a single scaling exponent, the Hurst exponent $H$, provide a…
We analyze quantal Brownian motion in $d$ dimensions using the unified model for diffusion localization and dissipation, and Feynman-Vernon formalism. At high temperatures the propagator possess a Markovian property and we can write down an…
Scale interaction is studied in wall-bounded turbulence by focusing on the frequency modulation (FM) mechanism of large scales on small scale velocity fluctuations. Differently from amplitude modulation analysis, frequency modulation has…
In this paper, a novel decomposition method for non-stationary and nonlinear signals is proposed. This method is inspired by the adaptive wavelet filter bank of the empirical wavelet transform (EWT) and Fourier intrinsic band functions…
We consider the generalised Burgers equation $$ \frac{\partial u}{\partial t} + f'(u)\frac{\partial u}{\partial x} - \nu \frac{\partial^2 u}{\partial x^2}=0,\ t \geq 0,\ x \in S^1, $$ where $f$ is strongly convex and $\nu$ is small and…
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…
In the inertial range of fully developed turbulence, we model the vertex network dynamics by an iterated unimodular map having the universal behavior. Inertial range anomalous scaling for the pair correlation functions of the velocity and…
We analyze the convergence to equilibrium of one-dimensional reflected Brownian motion (RBM) and compute a number of related initial transient formulae. These formulae are of interest as approximations to the initial transient for queueing…
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…
The inertial subrange of turbulence in a density stratified environment is the transition from internal waves to isotropic turbulence, but it is unclear how to interpret its extension to anisotropic stratified turbulence. Knowledge about…
We report the experimental characterization of free-surface deformations generated by three-dimensional homogeneous and isotropic turbulence. Using Fourier transform profilometry in a jet-forced turbulent tank, we perform spatiotemporal…
The turbulence in the diffuse intergalactic medium (IGM) plays an important role in various astrophysical processes across cosmic time, but it is very challenging to constrain its statistical properties both observationally and numerically.…
We study the fBm by use of convolution of the standard white noise with a certain distribution. This brings some simplifications and new results.
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM $X$ stays below a certain level until time $T$. Recently, Oshanin et al. study a physical model…
The effects of a "diffusing diffusivity" (DD), a stochastically time-varying diffusion coefficient, are explored within the frameworks of three different forms of fractional Brownian motion (FBM): (i) the Langevin equation driven by…